Value at risk measurement of Indian stock indices

Abstract

Value-at-risk measurement for various financial instruments is at the heart of risk management of these instruments. It measures the worst expected loss over a given time interval under usual market conditions at a given confidence level. It is typically used by security houses or investment banks to measure the market risk or volatility risk of their asset portfolios, but is actually a very general concept that has broad application. This project focuses on measuring the VaR for different equity indices of National Stock Exchange of India. Different models are used to measure the VaR. Results obtained using the different models will be compared with each other. The project also measures contribution of each of the 50 scripts to VaR measure for Nifty 50.